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CFA随便过 · 2024年08月06日

这题有点疑问,active share高不一定代表active risk高吧。哪怕只有60只,也可能和Benchmark关联高吧

NO.PZ2023010903000066

问题如下:

Before hiring Välimaa, the Missipina Foundation’s portfolio had been managed internally.

Välimaa reviews a memo from Missipina’s investment committee that summarizes the previous internal manager’s approach to portfolio construction:

“The manager used a growth at a reasonable price (GARP) investment approach to identify attractively priced stocks. He emphasized understanding a firm’s governance structure, management quality, business model/competitive landscape, and environmental, social, and governance (ESG)-related attributes. The portfolio generally held less than 60 stocks, significantly less than the number of stocks in the benchmark and the portfolio was not well diversified.”

Determine, based solely on the memo’s content, whether the former manager’s portfolio would most likely be characterized as having high or low:

i. Active risk

ii. Active Share

Justify each response.

选项:

解释:


如题,请老师指导。

1 个答案
已采纳答案

笛子_品职助教 · 2024年08月07日

嗨,爱思考的PZer你好:


Hello,亲爱的同学~

这里需先理解一下active risk来源的知识点。


根据这一页的内容,active risk有两个来源。

来源一:portfolio与benchmark在factor上的差异。

来源二:portfolio与benchmark在active share上的差异。见红框。

(factor nuetral的含义是factor无差异,此时active risk全部来自active share)


在理解以上知识点后,我们看本问题。

active share高不一定代表active risk高吧。哪怕只有60只,也可能和Benchmark关联高吧

同学这里考虑了active share,也考虑了关联。

这正是active risk的两个来源。

当active share大,但portfolio与benchmark在factor无差异,确实会导致active risk低。

同学理解正确。


但本题讨论的是,active risk的两个来源,以及各自对active risk的影响。

在factor因素相同的时候,单独增加active share,会增加active risk。

举例来说,关联度是一样的,factor neutral。

那么,portfolio1 有100只股票。portfolio2只有60只股票,则portfolio2的active share高,会增加portfolio2的active risk。


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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